Insurer risk management in the presence of frictional costs

Yuriy Krvavych~Michael Sherris, Australia

The paper introduces modelling of the financial distress costs in an insurance company as a corporation with risky debt, and investigates the existence of risk management incentives in insurance business in the presence of financial distress costs.
Date: 1 June - Time: 16:15 to 17:45 - Room: 251
Theme: 1.B. Solvency measurements and asset-liability management